components: political risk and economic policy risk. We uncover the surprisingly low correlation between the two variables, and … utmost relevance of political risk, which explains and predicts returns driven by both short-term and long-run correlations …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market …’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty …

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new … future returns the “Vo/P anomaly.” We find that this Vo/P anomaly is exacerbated by idiosyncratic risk to a greater extent … than by any other arbitrage risk factor, including institutional ownership, analyst coverage, bid-ask spread, and trading …

One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged … IVOL and returns) is a missing risk factor. We show analytically that if IVOL proxies for a missing risk factor, then the … risk factors. Overall, our results suggest that both diversifiable (i.e., true idiosyncratic risk) and non …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …